public override Excel_underlyingModel_paraViewModel underModel(Excel_underlyingInfoViewModel excel_uivm, Excel_instrumentViewModel excel_instrumentViewModel, DateTime dateTime)
{
Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel();
Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel;
string value = Excel_loaderViewModel.loadMarketData(dateTime, excel_uivm.Excel_type_, excel_uivm.KrCode_);
e_hwofvm.CurrentValue_ = value;
e_hwofvm.Alpha_ = this.HullWhite_AlphaSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm);
e_hwofvm.Volatility_ = this.HullWhite_SigmaSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm);
e_hwofvm.setInterestRateInfo(e_irvm);
e_hwofvm.Excel_yieldCurveViewModel_ = this.HullWhite_FittingCurveSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm);
return(e_hwofvm);
}
public Excel_underlyingInfo_paraViewModel getUnderlyingParameterModel(Excel_underlyingInfoViewModel e_uivm)
{
Excel_underlyingInfo_paraViewModel e_uipvm = new Excel_underlyingInfo_paraViewModel();
if (e_uivm.Excel_type_.ToUpper() == "STOCK")
{
e_uipvm.KrCode_ = e_uivm.KrCode_;
//e_uipvm.UnderName_ = e_uivm.Name_;
//e_uipvm.Model_ = "GBM";
Excel_geometricBMViewModel e_gbmvm = new Excel_geometricBMViewModel();
e_gbmvm.Code_ = e_uivm.KrCode_;
e_uipvm.Excel_underlyingModel_paraViewModel_ = e_gbmvm;
}
else if (e_uivm.Excel_type_.ToUpper() == "INTERESTRATE")
{
e_uipvm.KrCode_ = e_uivm.KrCode_;
//e_uipvm.UnderName_ = e_uivm.Name_;
//e_uipvm.Model_ = "HullWhiteOne";
Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel();
Excel_interestRateViewModel e_irvm = e_uivm as Excel_interestRateViewModel;
e_hwofvm.Code_ = e_uivm.KrCode_;
e_hwofvm.setInterestRateInfo(e_irvm);
e_uipvm.Excel_underlyingModel_paraViewModel_ = e_hwofvm;
}
else
{
throw new NotImplementedException();
}
e_uipvm.Excel_underlyingModel_paraViewModel_.parameterLoad(
this.ParameterSettingManager_);
return e_uipvm;
}
public Excel_underlyingInfo_paraViewModel getUnderlyingParameterModel(Excel_underlyingInfoViewModel e_uivm)
{
Excel_underlyingInfo_paraViewModel e_uipvm = new Excel_underlyingInfo_paraViewModel();
if (e_uivm.Excel_type_.ToUpper() == "STOCK")
{
e_uipvm.KrCode_ = e_uivm.KrCode_;
//e_uipvm.UnderName_ = e_uivm.Name_;
//e_uipvm.Model_ = "GBM";
Excel_geometricBMViewModel e_gbmvm = new Excel_geometricBMViewModel();
e_gbmvm.Code_ = e_uivm.KrCode_;
e_uipvm.Excel_underlyingModel_paraViewModel_ = e_gbmvm;
}
else if (e_uivm.Excel_type_.ToUpper() == "INTERESTRATE")
{
e_uipvm.KrCode_ = e_uivm.KrCode_;
//e_uipvm.UnderName_ = e_uivm.Name_;
//e_uipvm.Model_ = "HullWhiteOne";
Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel();
Excel_interestRateViewModel e_irvm = e_uivm as Excel_interestRateViewModel;
e_hwofvm.Code_ = e_uivm.KrCode_;
e_hwofvm.setInterestRateInfo(e_irvm);
e_uipvm.Excel_underlyingModel_paraViewModel_ = e_hwofvm;
}
else
{
throw new NotImplementedException();
}
e_uipvm.Excel_underlyingModel_paraViewModel_.parameterLoad(
this.ParameterSettingManager_);
return(e_uipvm);
}
public string set_hullWhiteModel(string underCode, double currentValue, double alpha, double sigma, YieldTermStructure fittingCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
// under 에서 tenor를 가져옴
string tenor = "3M"; // defaultrrrr
bool setFlag = false;
Excel_hullWhiteOneFactorViewModel e_hwvm = new Excel_hullWhiteOneFactorViewModel();
foreach (var item in e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
{
if (underCode == item.KrCode_)
{
e_hwvm.CurrentValue_ = currentValue.ToString();
e_hwvm.Alpha_ = alpha.ToString();
e_hwvm.Volatility_ = sigma.ToString();
e_hwvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_hwvm;
setFlag = true;
}
}
foreach (var item in this.InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode == item.KrCode_)
{
Excel_interestRateViewModel e_irvm = item as Excel_interestRateViewModel;
e_hwvm.setInterestRateInfo(e_irvm);
}
}
if (!setFlag)
{
throw new Exception(underCode + " doesn't exist");
}
return "set hullWhit_model complete : " + underCode;
}
catch (Exception e)
{
return "set fail : " + e.Message;
}
}